Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0143 |
| Annualized Std Dev | 0.0793 |
| Annualized Sharpe (Rf=0%) | -0.1802 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2984.0000 |
| NAs | 1.0000 |
| Minimum | -0.0215 |
| Quartile 1 | -0.0028 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0028 |
| Maximum | 0.0413 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0001 |
| Variance | 0.0000 |
| Stdev | 0.0050 |
| Skewness | 0.0844 |
| Kurtosis | 2.8162 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0035 |
| Gain Deviation | 0.0033 |
| Loss Deviation | 0.0034 |
| Downside Deviation (MAR=210%) | 0.0097 |
| Downside Deviation (Rf=0%) | 0.0036 |
| Downside Deviation (0%) | 0.0036 |
| Maximum Drawdown | 0.3279 |
| Historical VaR (95%) | -0.0082 |
| Historical ES (95%) | -0.0113 |
| Modified VaR (95%) | -0.0079 |
| Modified ES (95%) | -0.0113 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2011-05-02 | 2020-03-20 | NA | -0.3279 | 2424 | 2199 | NA |
| 2009-12-02 | 2010-06-07 | 2011-04-28 | -0.1543 | 354 | 128 | 226 |
| 2009-01-29 | 2009-03-09 | 2009-03-19 | -0.0572 | 30 | 22 | 8 |
| 2009-03-20 | 2009-04-20 | 2009-05-08 | -0.0417 | 34 | 21 | 13 |
| 2009-06-03 | 2009-06-15 | 2009-07-22 | -0.0393 | 35 | 9 | 26 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | -1.4 | -0.4 | -0.1 | -0.1 | -0.1 | 0.5 | 1.2 | -0.9 | -0.7 | -0.3 | 0.4 | 0.2 | -1.5 |
| 2010 | 0 | -0.4 | 0 | 0.2 | 0.4 | 1.8 | 0.4 | 0.7 | 0.5 | -0.4 | 0.2 | 0.7 | 4 |
| 2011 | 0.8 | 0.1 | -0.2 | 0.5 | -0.3 | -0.2 | -0.8 | -0.8 | -0.5 | -1.6 | -0.9 | 0.7 | -3.1 |
| 2012 | 0.8 | 0 | 0.5 | 0 | -0.3 | 1 | -0.2 | 0.4 | -0.1 | -0.3 | -0.3 | -0.2 | 1.3 |
| 2013 | 0.3 | -0.4 | 0.6 | -0.2 | -0.1 | 0.8 | -0.5 | -0.2 | 0 | -0.1 | 0.2 | -0.3 | 0.2 |
| 2014 | -0.1 | 0.5 | -0.2 | -0.2 | 0.1 | 0 | 0 | -0.5 | 0.1 | -1.2 | -0.1 | 0.1 | -1.4 |
| 2015 | 0 | -0.2 | 0.1 | -0.4 | -0.7 | -0.7 | 0.1 | 0.8 | 0.2 | 0.2 | 0.6 | -0.2 | -0.2 |
| 2016 | 0.5 | -0.2 | 0.2 | 0.7 | 0.1 | 0.5 | -0.4 | 0.5 | 0 | 0.6 | 0.1 | 0.1 | 2.6 |
| 2017 | 0 | -0.8 | -0.1 | -0.2 | 0.2 | 0.4 | -0.2 | -0.1 | 0.3 | -0.5 | 0.2 | 0.4 | -0.4 |
| 2018 | 0.5 | -0.1 | 0.1 | -0.7 | -0.4 | 0.5 | -0.2 | -0.3 | -0.1 | 0.8 | -0.6 | 0.1 | -0.3 |
| 2019 | 0 | -0.3 | -0.2 | -0.2 | 0.4 | -0.4 | 0 | -0.3 | -0.1 | 0 | -0.1 | 0.2 | -1.1 |
| 2020 | 0.4 | 0.9 | 0 | 0.3 | 0.7 | 0.2 | -0.1 | -0.1 | 0.2 | 0 | 0.9 | -0.2 | 3.2 |
| 2021 | -0.6 | -0.3 | -0.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | -1 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-01-28 98.2 SPY 87.4 0.0338 0.0397 0.0026 0.041 -0.357 -0.314 -0.238 GLD 87.4 -0.0109 0.0388
2 2009-01-29 96.8 SPY 84.6 -0.0325 0.0218 -0.0272 -0.0982 -0.373 -0.342 -0.254 GLD 89.5 0.0239 0.0582
3 2009-02-02 96.0 SPY 82.6 -0.003 -0.0131 -0.0849 -0.142 -0.408 -0.352 -0.272 GLD 88.8 -0.0271 -0.00120
4 2009-02-03 96.8 SPY 83.7 0.014 -0.00930 -0.0992 -0.135 -0.392 -0.348 -0.265 GLD 88.5 -0.0042 0.001
5 2009-02-05 96.1 SPY 84.6 0.0149 0.0002 -0.0952 -0.158 -0.364 -0.330 -0.251 GLD 90.1 0.0105 0.0069
6 2009-02-06 96.3 SPY 87.0 0.0285 0.0501 -0.0407 -0.0958 -0.351 -0.313 -0.232 GLD 89.6 -0.0059 -0.0188
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
